Fractional Cointegration Relationship between Oil Prices and Stock Markets: An Empirical Analysis from G7 Countries
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DOI: 10.18267/j.pep.395
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- Donald A. Otieno & Rose W. Ngugi & Peter W. Muriu, 2019. "The impact of inflation rate on stock market returns: evidence from Kenya," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 73-90, January.
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More about this item
Keywords
fractional integration; fractional cointegration; oil prices; stock markets; G7 countries;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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